Sharpe vs Treynor The Sharpe and Treynor measures are similar, but different: – Sharpe uses the standard deviation, Treynor uses beta – Sharpe is more appropriate for well diversified portfolios, Treynor for individual assets – For perfectly diversified portfolios, Sharpe and Treynor will give the same ranking, but different numbers (the ranking, not the number itself, is what is most important)
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